Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A. M. Robert, Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form, «JOURNAL OF ECONOMETRICS», 2017, 198, pp. 165 - 188 [articolo]Open Access
Boswijk, H. Peter; Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert, Inference on co-integration parameters in heteroskedastic vector autoregressions, «JOURNAL OF ECONOMETRICS», 2016, 192, pp. 64 - 85 [articolo]Open Access
Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; Rahbek, Anders, Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX), «JOURNAL OF EMPIRICAL FINANCE», 2016, 38, pp. 640 - 663 [articolo]
Cavaliere, Giuseppe; Georgiev, Iliyan; Robert Taylor, A.M., Sieve-based inference for infinite-variance linear processes, «ANNALS OF STATISTICS», 2016, 44, pp. 1467 - 1494 [articolo]Open Access
Giuseppe Cavaliere; Luca De Angelis; Anders Rahbek; and A.M.Robert Taylor, A Comparison of Sequential and Information-based Methods for Determining the Co-integration Rank in Heteroskedastic VAR Models, «OXFORD BULLETIN OF ECONOMICS AND STATISTICS», 2015, 77, pp. 106 - 128 [articolo]
Cavaliere, Giuseppe; A. M., Robert Taylor; Carsten, Trenkler, Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates, «OXFORD BULLETIN OF ECONOMICS AND STATISTICS», 2015, 77, pp. 740 - 759 [articolo]
Giuseppe Cavaliere;Anders Rahbek;A. M. Robert Taylor, Bootstrap Determination of the Co-Integration Rank in VAR Models with Unrestricted Deterministic Components, «JOURNAL OF TIME SERIES ANALYSIS», 2015, 36, pp. 272 - 289 [articolo]
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A.M. Robert, Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets, «JOURNAL OF ECONOMETRICS», 2015, 187, pp. 557 - 579 [articolo]Open Access
Giuseppe Cavaliere; Heino Bohn Nielsen; Anders Rahbek, Bootstrap testing of hypotheses on co-integration relations in VAR models, «ECONOMETRICA», 2015, 83, pp. 813 - 831 [articolo]Open Access
Giuseppe Cavaliere; Peter C.B. Phillips; Stephan Smeekes; A.M. Robert Taylor, Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, «ECONOMETRIC REVIEWS», 2015, 34, pp. 512 - 536 [articolo]
Giuseppe Cavaliere; Dimitris N. Politis; Anders Rahbek, Recent Developments in Bootstrap Methods for Dependent Data, «JOURNAL OF TIME SERIES ANALYSIS», 2015, 36, pp. 269 - 271 [replica/breve intervento]
Cavaliere, Giuseppe; Harvey, David I.; Leybourne, Stephen J.; Robert Taylor, A.M., Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics, «JOURNAL OF TIME SERIES ANALYSIS», 2015, 36, pp. 603 - 629 [articolo]
Giuseppe Cavaliere;Anders Rahbek;A. M. Robert Taylor, Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models, «ECONOMETRIC REVIEWS», 2014, 33, pp. 606 - 650 [articolo]
G. Cavaliere; F. Xu, Testing for unit roots in bounded time series, «JOURNAL OF ECONOMETRICS», 2014, 178, pp. 259 - 272 [articolo]
G. Cavaliere; A.M.R. Taylor; C. Trenkler, Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion, «ECONOMETRIC REVIEWS», 2013, 32, pp. 814 - 847 [articolo]
